From the November 01, 2012 issue of Futures Magazine • Subscribe!

Analyze your equity curve

Interestingly, we also can combine the results of the moving averages. In “Working together” (below), we show the results for a system that includes all three averages. This system divides its lot sizes into thirds, trading 33% of a lot based on each filter.

As we can see, not only does moving average filtering produce a rising equity curve with more profit and a lower drawdown, but it also does so with fewer trades. Profits increased from $300 to an average of $20,000 across all systems, using the same lot sizes and the same trading system signals on the same underlying instrument over the same period of time and without any additional money management rule.

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